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by Jack R. Vogel, Wesley R. Gray
Quantitative Momentum
Title Page
Copyright
Dedication
Preface
Acknowledgments
About the Authors
Part One: Understanding Momentum
Chapter 1: Less Religion; More Reason
Technical Analysis: The Market's Oldest Religion
A New Religion Emerges: Fundamental Analysis
The Age of Evidence-Based Investing
Don't Worry: This Book Is About Stock-Selection Momentum
Summary
Notes
Chapter 2: Why Can Active Investment Strategies Work?
Into the Lion's Den
Good Investing Is Like Good Poker: Pick the Right Table
Growth Investing Stinks, So Why Do It?
Summary
Notes
Chapter 3: Momentum Investing Is Not Growth Investing
The Efficient Market Mafia Kills Relative Strength
“Momentum” Rises from the Ashes
Behavioral Finance Theorists Explain Momentum
Wait a Minute: Momentum Investing Is Just Growth Investing, Which Doesn't Work!
Digging Deeper into Growth versus Momentum
But Why Does Momentum Work?
Summary
Notes
Chapter 4: Why All Value Investors Need Momentum
Momentum Is a Myth
Asness Separates Fact from Fiction
Expanding Your Horizons with Momentum
Marrying Value and Momentum
Summary
Notes
Part Two: Building a Momentum-Based Stock Selection Model
Chapter 5: The Basics of Building a Momentum Strategy
How to Calculate Generic Momentum
Three Types of Momentum
Why Momentum Portfolio Construction Matters
Summary
Notes
Chapter 6: Maximizing Momentum: The Path Matters
The Performance of Lottery Stocks
The Path to Momentum Profits
The Results
Summary
Notes
Chapter 7: Momentum Investors Need to Know Their Seasons
Window Dressing
Tax-Motivated Trading
Great Theories: But Why Do We Care?
Momentum Seasonality: The Results
Summary
Notes
Chapter 8: Quantitative Momentum Beats the Market
Transaction Costs
The Parameters of the Universe
Quantitative Momentum Analysis
A Peek Inside the Black Box
Beating the Market with Quantitative Momentum
Notes
Chapter 9: Making Momentum Work in Practice
A Two-Legged Stool: Value + Momentum
A Three-Legged Stool: Combo + Trend
Career Risk Considerations
What if I Can't Handle Poor Relative Performance?
Notes
Appendix A. Investigating Alternative Momentum Concepts
How is Momentum Related to Fundamentals?
Is the 52-Week High a Better Momentum Signal?
Can Absolute Strength Improve Relative Strength Momentum?
Can the Volatility of Momentum be Constrained?
Notes
Appendix B: Performance Statistics Definitions
About the Companion Website
Index
End User License Agreement
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Copyright
Quantitative Momentum
A Practitioner’s Guide to Building a Momentum-Based Stock Selection System
WESLEY R. GRAY
JACK R. VOGEL
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